APD Options History — October 2015

In October 2015, APD traded between $118.20 and $131.26. ATM implied volatility averaged 27.3%, placing in the 48.1% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 4.5% (HV 20d: 22.8%). Max pain ranged from $115.63 to $134.14. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.26.

Notable Days

  • 2015-10-15: Highest Volume — 16,523 contracts
  • 2015-10-29: Largest IV drop — 37.4% change
  • 2015-10-28: Highest IV Rank — 100.0%
  • 2015-10-28: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$126.80$118.20$131.26$118.20$128.79
Max Pain$124.25$115.63$134.14$134.14$129.51
ATM IV27.3%23.1%40.6%27.9%24.8%
Expected Move8.0%7.1%11.6%8.0%7.1%
HV 20d22.8%18.6%25.8%23.9%23.2%
HV 60d25.9%23.0%27.1%26.3%24.4%
IV Rank48.1%26.5%100.0%41.0%39.6%
IV Percentile79.7%54.8%100.0%82.9%73.4%
Term Structure-2.0%-7.8%2.4%2.4%0.2%
VWIV29.0%24.1%40.0%32.3%26.0%
Skew 25d4.0%2.9%5.9%5.1%3.6%
Skew 10d9.1%6.2%14.8%9.0%8.7%
Call IV 25d26.9%23.6%39.1%27.7%23.8%
Put IV 25d30.9%26.4%42.5%32.8%27.4%
Bid-Ask Spread %33.9015.3142.0333.9920.68
Gamma HHI0.360.280.430.400.30
Net GEX14.4M8.3M19.5M8.3M16.5M
Net DEX-179.5M-311.0M1.1M1.1M-266.6M
Net VEX-1.2M-1.3M-1.0M-1.0M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.462.881.150.80
Total Volume7,387.95520916,5238,3007,385
Total OI77,792.59168,17283,94276,97281,469

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-10-01$118.20$134.1427.9%8.0%23.9%41.0%32.3%5.1%2.4%8.3M1.1M-1.0M1.1533.993,8574,44352,09724,875
2015-10-02$120.46$134.1427.5%7.9%24.9%39.8%36.4%5.9%2.4%10.1M-27.4M-1.1M0.8733.433,2622,82952,17724,920
2015-10-05$122.96$115.6326.3%8.1%24.9%36.0%28.8%5.3%-1.4%11.9M-64.0M-1.1M0.4640.561436652,18424,938
2015-10-06$122.77$115.6326.2%8.0%23.4%35.9%32.5%4.4%-1.7%11.9M-72.8M-1.1M1.2340.613,1793,89752,27924,954
2015-10-07$124.17$115.6325.6%8.0%23.4%34.1%31.1%5.0%-1.9%12.9M-84.1M-1.2M1.1838.383,2313,79853,78826,481
2015-10-08$127.64$115.6323.9%7.7%25.5%28.7%24.1%3.9%-1.8%15.6M-158.2M-1.2M1.1234.533,3903,78153,82626,545
2015-10-09$129.14$115.6323.1%7.6%25.7%26.5%25.3%4.1%-1.5%16.3M-194.5M-1.2M1.3437.383,5474,73753,78726,626
2015-10-12$128.32$115.6325.2%7.5%25.7%32.7%25.9%4.2%-1.1%15.4M-163.9M-1.1M1.1632.994,2414,91453,96927,760
2015-10-13$127.83$115.6324.4%7.2%25.8%30.4%25.7%4.3%-1.3%16.0M-151.9M-1.1M1.1736.673,3073,88454,85927,887
2015-10-14$127.99$115.6325.6%7.3%24.6%34.7%24.5%3.7%-1.7%16.6M-157.6M-1.1M1.0838.263,4123,69355,06928,741
2015-10-15$129.46$115.6325.2%7.2%24.9%33.5%25.1%3.7%-1.9%19.5M-185.1M-1.1M1.0933.877,8968,62755,13728,805
2015-10-16$128.33$129.5124.6%7.1%21.6%44.7%25.2%3.3%-1.6%14.8M-190.6M-1.2M1.0435.415,4845,68455,03528,844
2015-10-19$127.53$129.5124.9%7.1%21.8%46.4%26.2%3.4%-1.7%15.1M-229.7M-1.2M1.3426.231,6112,15947,35420,818
2015-10-20$127.29$129.5124.8%7.1%20.1%46.2%26.3%3.3%-2.0%15.0M-224.2M-1.2M1.3028.301,6772,18847,39620,927
2015-10-21$125.24$129.5129.0%8.3%20.5%64.8%30.1%4.2%-3.3%13.9M-181.4M-1.1M2.8822.041,9505,62347,52920,892
2015-10-22$127.50$129.5129.0%8.3%21.1%64.8%29.7%3.1%-3.5%13.5M-222.2M-1.2M0.5031.975,4332,70447,91624,263
2015-10-23$129.56$129.5129.7%8.5%20.5%67.9%30.8%3.7%-3.7%15.3M-290.9M-1.2M0.5540.734,5432,51850,95824,441
2015-10-26$129.34$129.5132.3%9.3%18.6%79.4%32.6%3.8%-5.1%15.2M-285.1M-1.2M2.0941.221,9063,98650,98924,360
2015-10-27$128.85$129.5134.6%9.9%18.9%89.2%33.3%4.2%-5.4%13.8M-266.1M-1.2M2.7041.201,8454,97651,18625,921
2015-10-28$131.26$129.5140.6%11.6%19.2%100.0%40.0%3.4%-7.8%12.4M-311.0M-1.3M1.3742.033,8035,19651,19027,074
2015-10-29$126.94$129.5125.4%7.3%23.6%42.0%25.7%2.9%-1.4%16.2M-222.0M-1.2M1.2015.313,5094,22152,73128,440
2015-10-30$128.79$129.5124.8%7.1%23.2%39.6%26.0%3.6%0.2%16.5M-266.6M-1.2M0.8020.684,0973,28852,89228,577